Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0981
Annualized Std Dev 0.2346
Annualized Sharpe (Rf=0%) 0.4180

Row

Daily Return Statistics

Close
Observations 5235.0000
NAs 1.0000
Minimum -0.1177
Quartile 1 -0.0068
Median 0.0010
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0082
Maximum 0.0869
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0148
Skewness -0.3254
Kurtosis 6.1156

Downside Risk

Close
Semi Deviation 0.0107
Gain Deviation 0.0100
Loss Deviation 0.0110
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.5890
Historical VaR (95%) -0.0221
Historical ES (95%) -0.0341
Modified VaR (95%) -0.0233
Modified ES (95%) -0.0427
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2011-03-31 -0.5890 965 444 521
2018-09-04 2020-03-23 2020-12-15 -0.4562 576 390 186
2002-04-17 2002-10-09 2003-11-03 -0.3378 392 123 269
2011-07-08 2011-10-03 2012-02-03 -0.2681 146 61 85
2001-05-23 2001-09-21 2002-01-04 -0.2385 153 81 72

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA 2.3 -0.1 0.2 0.4 -0.8 -1 2.5 -2.6 0.9
2001 0.6 0.5 2.4 0.9 0.7 1.3 0.4 0.4 -1.8 1.4 -0.4 -1.4 5
2002 -0.9 2.1 0 0.3 0.1 -2.8 -0.7 -0.5 2.8 2.2 -1.5 0.2 1.3
2003 1.8 0.2 0.7 -0.3 1.8 0.4 -1.4 0.2 2.2 0 1.4 -1.5 5.8
2004 0.2 2 0.5 -1 0.7 -1.2 0.5 0.8 2.5 0.5 1.2 -0.1 6.8
2005 0.8 0.8 -0.5 0.8 1.3 0.9 0.3 0.3 0.2 0.5 1.7 -0.8 6.5
2006 0.4 1.6 0.4 -0.6 1.6 0.6 -1.1 0.5 -1.1 -1.8 -0.3 -1 -1.1
2007 1.4 -0.2 0 0.6 0.9 -1 0.4 1.2 2.1 -3.9 0.4 -0.7 1.1
2008 2.8 -2.7 3.8 1.5 0.5 0 0.6 -1 0 4.7 -10.5 2.4 1.2
2009 -1.9 -0.5 2.2 0.4 4.3 1.7 0 -2.2 -2.9 -2.8 1.5 -1.6 -2
2010 1 2.2 1.1 -3.4 -2.9 -0.7 0.1 3.8 0.6 -0.6 2.1 -1.1 1.8
2011 2 -1.8 0.3 0.2 -3 1.6 -0.6 -2.1 -3.1 -3.2 -0.6 -0.9 -10.8
2012 2.1 0.6 -0.3 0.1 -2.8 3 -1.6 0.4 0.3 1.4 -0.2 1.9 4.9
2013 1.1 0.4 -1.1 -2.2 -1 1.6 1.3 -1.4 1.2 -0.4 0 0 -0.5
2014 -0.6 -0.1 1.2 -0.2 -0.4 1.2 -0.2 0.5 -1.4 1.5 -1.3 -0.6 -0.5
2015 -2.1 -0.5 -0.1 0.6 0.4 0.5 0.5 -2.7 -0.4 -0.5 0.7 -1.3 -4.8
2016 -0.3 1.9 0.3 -0.6 0.7 0.1 0.1 0.1 1.1 -1.4 -0.3 -0.4 1.2
2017 -0.1 1.8 0.2 0.5 1.7 -0.1 0.3 0.7 0.3 -0.7 -0.6 -0.7 3.5
2018 0.4 -0.4 0.9 0.4 0.7 -0.3 0 0.6 -1.5 1.9 0.8 0.6 4.2
2019 -0.1 0.6 1.2 -0.9 -1.3 0.2 -1.5 -0.2 -2 1.5 -0.6 0.3 -2.8
2020 -2.4 -1.6 -7 -4.1 1.1 -1.4 -0.6 1.1 1.4 -1.3 1.1 0.2 -13
2021 1.8 3.1 0.2 NA NA NA NA NA NA NA NA NA 5.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-05-26  15.9 SPY    138   0.0011  -0.0221  -0.0548   0.0138   0.0599       NA       NA <NA>     NA    NA       NA
2 2000-05-30  16.3 SPY    143.  0.0342   0.019   -0.0164   0.0384   0.1          NA       NA <NA>     NA    NA       NA
3 2000-05-31  16.6 SPY    143.  0.0007   0.0349  -0.0289   0.0316   0.0996       NA       NA <NA>     NA    NA       NA
4 2000-06-01  17.0 SPY    145.  0.0175   0.0361   0.0082   0.049    0.113        NA       NA <NA>     NA    NA       NA
5 2000-06-02  17.5 SPY    148.  0.0174   0.0725   0.0439   0.0476   0.110        NA       NA <NA>     NA    NA       NA
6 2000-06-05  17.5 SPY    147. -0.0049   0.0661   0.0375   0.0523   0.102        NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart